Backtest Portfolio Asset Allocation

This portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs, and stocks. You can analyze and backtest portfolio returns, risk characteristics, style exposures, and drawdowns. The results cover both returns and fund fundamentals based portfolio style analysis along with risk and return decomposition by each portfolio asset. You can compare up to three different portfolios against the selected benchmark, and you can also specify any periodic contribution or withdrawal cashflows and the preferred portfolio rebalancing strategy.

The related asset class level portfolio modeling tool allows you to analyze and compare asset class level portfolios with a longer time horizon starting from 1972.

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Portfolio Analysis Results (Jan 2016 - Dec 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VT Vanguard Total World Stock ETF 40.00%
TLT iShares 20+ Year Treasury Bond ETF 20.00%
GLD SPDR Gold Shares 20.00%
QQQ Invesco QQQ Trust 10.00%
HQL Tekla Life Sciences Investors 9.00%
GBTC Grayscale Bitcoin Trust (BTC) 1.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VT Vanguard Total World Stock ETF 40.00%
VIRT Virtu Financial, Inc. 20.00%
GLD SPDR Gold Shares 20.00%
QQQ Invesco QQQ Trust 10.00%
HQL Tekla Life Sciences Investors 9.00%
GBTC Grayscale Bitcoin Trust (BTC) 1.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$21,725 13.80% 9.77%27.22%-6.44%-9.29% 1.282.470.82
Portfolio 2$10,000$24,214 15.88% 11.96%36.02%0.40%-10.38% 1.222.460.65
Vanguard 500 Index Investor$10,000$25,926 17.21% 14.62%31.33%-4.52%-19.63% 1.101.761.00
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 yearFull3 year5 year
Portfolio 14.62%9.04%9.04%20.40%15.44%13.80%10.95%9.97%
Portfolio 27.79%14.57%14.57%20.88%19.25%15.88%12.68%12.18%
Vanguard 500 Index Investor10.99%28.53%28.53%25.91%18.32%17.21%17.42%15.39%
Trailing return and volatility are as of last full calendar month ending December 2021
Notes on results:
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, or actual taxes due on investment returns.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The results assume quarterly rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationPortfolio 1Portfolio 2Vanguard 500 Index InvestorVanguard Total World Stock ETF (VT)iShares 20+ Year Treasury Bond ETF (TLT)SPDR Gold Shares (GLD)Invesco QQQ Trust (QQQ)Tekla Life Sciences Investors (HQL)Grayscale Bitcoin Trust (BTC) (GBTC)Virtu Financial, Inc. (VIRT)
ReturnBalanceReturnBalanceReturnBalance
20162.07%5.97%$10,5970.40%$10,04011.82%$11,1828.51%1.18%8.03%7.10%-19.53%93.10%-25.50%
20172.11%25.55%$13,30528.38%$12,89021.67%$13,60524.49%9.18%12.81%32.66%25.44%1,557.21%21.40%
20181.91%-6.44%$12,4486.34%$13,708-4.52%$12,989-9.76%-1.61%-1.94%-0.12%-14.41%-82.10%45.91%
20192.29%25.81%$15,66113.35%$15,53831.33%$17,05826.82%14.12%17.86%38.96%25.51%106.56%-34.95%
20201.36%27.22%$19,92436.02%$21,13518.25%$20,17116.61%18.15%24.81%48.40%23.80%290.72%64.23%
20217.04%9.04%$21,72514.57%$24,21428.53%$25,92618.27%-4.60%-4.15%27.42%5.70%7.03%18.60%
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Vanguard 500 Index InvestorVanguard Total World Stock ETF (VT)iShares 20+ Year Treasury Bond ETF (TLT)SPDR Gold Shares (GLD)Invesco QQQ Trust (QQQ)Tekla Life Sciences Investors (HQL)Grayscale Bitcoin Trust (BTC) (GBTC)Virtu Financial, Inc. (VIRT)
ReturnBalanceReturnBalanceReturnBalance
20161-3.24%$9,676-4.31%$9,569-4.98%$9,502-5.87%5.57%5.41%-6.91%-23.18%-31.75%0.27%
201622.41%$9,9081.62%$9,724-0.15%$9,489-1.11%3.09%10.93%-1.57%-3.93%30.23%-0.63%
201633.77%$10,2823.67%$10,0826.78%$10,1317.98%-0.09%-0.84%6.85%5.65%-2.86%-0.90%
201641.63%$10,4490.63%$10,1460.37%$10,1691.01%-0.74%5.11%-3.19%3.90%31.80%-5.70%
201650.12%$10,462-2.55%$9,8871.78%$10,3510.65%0.81%-6.14%4.37%4.81%8.93%-13.41%
201662.96%$10,7711.83%$10,0680.25%$10,376-0.18%6.93%8.97%-2.27%-6.19%53.07%1.07%
201673.97%$11,1992.66%$10,3363.68%$10,7584.15%2.10%1.98%7.15%10.94%-20.54%-4.44%
20168-0.91%$11,097-1.43%$10,1890.13%$10,7720.35%-1.01%-3.26%1.05%-2.20%-13.68%-3.82%
201690.49%$11,152-0.69%$10,1190.01%$10,7730.79%-1.51%0.69%2.21%0.43%9.76%-8.22%
201610-3.15%$10,801-5.18%$9,595-1.83%$10,575-1.97%-4.38%-2.94%-1.46%-10.57%19.89%-14.50%
201611-2.25%$10,5581.18%$9,7083.70%$10,9661.19%-8.21%-8.36%0.44%7.58%-8.71%10.07%
2016120.37%$10,5973.43%$10,0401.96%$11,1821.81%-0.46%-1.91%1.13%-3.63%23.50%15.16%
201713.32%$10,9495.16%$10,5591.88%$11,3923.00%0.81%5.42%5.14%5.18%-10.81%10.03%
201723.18%$11,2972.87%$10,8623.96%$11,8442.69%1.59%3.18%4.38%7.15%6.00%0.22%
201730.90%$11,3990.60%$10,9270.10%$11,8561.48%-0.65%-0.43%2.03%3.25%0.97%-2.02%
201742.28%$11,6590.09%$10,9361.02%$11,9761.63%1.57%1.73%2.73%5.72%18.59%-9.41%
201754.28%$12,1585.33%$11,5191.39%$12,1431.95%1.89%-0.12%3.90%-1.65%251.53%7.42%
20176-0.52%$12,0950.85%$11,6170.61%$12,2170.63%0.79%-2.16%-2.32%5.52%-19.43%8.28%
201772.18%$12,3591.07%$11,7412.04%$12,4672.65%-0.66%2.31%4.06%3.41%7.69%-6.23%
201783.60%$12,8044.82%$12,3060.29%$12,5040.42%3.41%4.20%2.07%2.79%139.29%9.93%
20179-1.17%$12,654-2.62%$11,9842.06%$12,7612.11%-2.32%-3.37%-0.29%-1.10%-30.15%-9.75%
2017100.85%$12,761-1.67%$11,7832.32%$13,0572.11%-0.04%-0.75%4.61%-5.31%18.00%-12.65%
2017111.75%$12,9854.65%$12,3313.06%$13,4561.90%0.74%0.36%1.97%-4.91%83.62%16.89%
2017122.46%$13,3054.54%$12,8901.10%$13,6051.60%1.81%2.11%0.60%3.81%32.54%12.27%
201813.14%$13,7224.66%$13,4915.71%$14,3825.48%-3.26%3.23%8.76%4.13%-29.63%4.37%
20182-3.19%$13,2858.74%$14,671-3.69%$13,850-4.44%-3.04%-2.08%-1.29%-3.81%14.37%56.75%
20183-0.65%$13,1992.15%$14,987-2.56%$13,496-1.29%2.86%0.63%-4.08%-0.26%-41.17%11.11%
20184-0.18%$13,1752.06%$15,2950.37%$13,5470.42%-2.09%-0.95%0.51%-3.33%51.10%9.09%
201850.88%$13,292-2.32%$14,9402.39%$13,8710.57%2.01%-1.20%5.67%3.07%-22.52%-13.08%
20186-0.84%$13,180-3.74%$14,3820.61%$13,955-0.60%0.65%-3.61%1.15%2.35%-30.54%-14.49%
201871.32%$13,354-3.21%$13,9213.71%$14,4732.88%-1.44%-2.24%2.80%4.52%22.16%-24.11%
201881.26%$13,5232.52%$14,2723.25%$14,9430.86%1.31%-2.14%5.78%6.36%-8.83%9.37%
20189-0.88%$13,403-1.37%$14,0760.55%$15,0250.08%-2.86%-0.66%-0.28%-0.29%-16.42%-6.19%
201810-5.49%$12,668-1.70%$13,836-6.85%$13,996-7.82%-2.93%2.12%-8.60%-13.17%-15.11%15.99%
2018111.04%$12,8002.32%$14,1582.03%$14,2801.73%1.79%0.34%-0.26%2.21%-25.96%7.11%
201812-2.75%$12,448-3.18%$13,708-9.04%$12,989-7.22%5.85%4.94%-8.65%-14.58%-20.54%2.34%
201916.17%$13,2165.93%$14,5208.00%$14,0287.99%0.38%2.89%9.01%15.68%0.63%-0.82%
201921.40%$13,4011.54%$14,7443.20%$14,4772.82%-1.38%-0.61%2.99%2.20%11.78%-0.67%
201931.41%$13,591-0.62%$14,6521.94%$14,7581.06%5.57%-1.60%3.92%-2.34%7.17%-5.53%
201941.42%$13,7832.51%$15,0214.04%$15,3543.47%-1.99%-0.66%5.50%-4.14%38.28%3.49%
20195-0.98%$13,649-3.36%$14,516-6.36%$14,377-5.97%6.84%1.76%-8.23%-3.14%67.32%-5.37%
201966.56%$14,5445.38%$15,2987.03%$15,3886.37%0.95%8.00%7.59%8.43%36.80%-5.39%
20197-0.05%$14,537-0.19%$15,2691.43%$15,6070.00%0.26%0.01%2.33%-2.61%-9.85%-0.46%
201982.35%$14,879-2.29%$14,919-1.59%$15,359-2.10%11.04%7.91%-1.90%-3.23%-14.08%-12.18%
20199-0.63%$14,785-2.38%$14,5641.86%$15,6452.28%-2.68%-3.39%0.92%-2.64%-9.64%-12.98%
2019102.37%$15,1353.32%$15,0482.15%$15,9822.79%-1.11%2.56%4.38%5.23%5.00%3.67%
2019111.50%$15,3621.42%$15,2623.62%$16,5602.56%-0.41%-3.21%4.07%9.97%-13.94%-0.71%
2019121.94%$15,6611.81%$15,5383.01%$17,0583.45%-3.20%3.66%3.89%1.69%-14.42%-3.67%
202012.00%$15,9741.33%$15,745-0.05%$17,050-1.56%7.69%4.50%3.04%-5.05%33.09%4.38%
20202-2.40%$15,590-0.91%$15,601-8.24%$15,644-7.22%6.63%-0.64%-6.06%-1.74%-9.63%14.14%
20203-5.51%$14,731-4.39%$14,917-12.37%$13,709-14.76%6.38%-0.22%-7.29%-5.67%-27.72%10.69%
202048.96%$16,05111.17%$16,58312.81%$15,46610.37%1.22%7.26%14.97%13.75%38.62%12.25%
202053.73%$16,6494.60%$17,3454.76%$16,2015.21%-1.76%2.59%6.60%6.47%10.33%3.08%
202062.46%$17,0592.13%$17,7141.98%$16,5213.07%0.34%2.74%6.28%0.90%-11.80%-1.05%
202076.21%$18,1186.34%$18,8365.63%$17,4515.29%4.44%10.79%7.35%-0.28%33.42%5.08%
202082.66%$18,5994.66%$19,7147.18%$18,7046.01%-5.05%-0.32%10.94%1.89%5.58%5.12%
20209-2.90%$18,061-5.14%$18,700-3.81%$17,991-2.92%0.77%-4.17%-5.78%-1.40%-18.92%-10.92%
202010-1.85%$17,727-2.59%$18,216-2.67%$17,510-2.05%-3.39%-0.52%-3.04%-3.87%40.20%-7.08%
2020117.15%$18,9958.35%$19,73710.94%$19,42512.37%1.66%-5.41%11.23%13.05%50.81%7.72%
2020124.89%$19,9247.08%$21,1353.84%$20,1714.94%-1.23%7.01%4.90%5.72%37.97%10.44%
20211-1.10%$19,7041.69%$21,492-1.02%$19,965-0.23%-3.63%-3.22%0.26%2.78%8.41%10.33%
20212-0.54%$19,5980.36%$21,5702.75%$20,5152.67%-5.73%-6.26%-0.13%5.01%24.53%-0.94%
20213-0.16%$19,5673.75%$22,3784.37%$21,4112.85%-5.24%-1.14%1.71%-5.65%15.83%13.86%
202143.75%$20,3012.34%$22,9025.32%$22,5514.13%2.49%3.56%5.91%4.01%-6.37%-4.57%
202151.66%$20,6382.35%$23,4390.69%$22,7061.58%0.00%7.68%-1.20%-0.75%-35.50%3.58%
202161.10%$20,865-1.51%$23,0862.31%$23,2301.18%4.42%-7.15%6.26%7.58%-1.36%-9.26%
202171.68%$21,215-0.43%$22,9862.38%$23,7820.62%3.72%2.53%2.86%-2.99%16.52%-6.84%
202181.95%$21,6281.32%$23,2903.03%$24,5022.26%-0.34%-0.08%4.22%7.10%8.74%-3.96%
20219-3.99%$20,765-3.54%$22,464-4.66%$23,360-4.10%-2.91%-3.22%-5.68%-4.81%-10.38%-0.20%
2021104.30%$21,6584.18%$23,4036.99%$24,9935.15%2.46%1.48%7.86%2.26%46.79%1.84%
202111-1.13%$21,4141.11%$23,662-0.71%$24,817-2.62%2.77%-0.69%2.00%-6.72%-6.98%14.23%
2021121.45%$21,7252.33%$24,2144.47%$25,9263.81%-2.01%3.30%1.15%-0.93%-25.90%2.31%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Vanguard 500 Index Investor
Large-cap Value5.66%45.03%
Large-cap Growth29.98%54.80%
Mid-cap Value0.00%0.00%
Mid-cap Growth3.19%0.00%
Small-cap Value0.00%0.17%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets14.11%0.00%
Emerging Markets15.12%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries28.70%0.00%
Intermediate-Term Treasuries3.24%0.00%
Short-Term Treasuries0.00%0.00%
R Squared91.84%99.94%
Style analysis is based on monthly returns from January 2016 to December 2021 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldExpense RatioP/EDurationContribution
SECTTMNetGrossReturnRisk
VTVanguard Total World Stock ETFWorld Large-Stock Blend40.00%1.82%0.08%0.08%19.15$5,09549.82%
TLTiShares 20+ Year Treasury Bond ETFLong Government20.00%1.74%1.50%0.15%0.15%19.24$1,0153.84%
GLDSPDR Gold SharesCommodities Focused20.00%0.40%0.40%$1,47913.46%
QQQInvesco QQQ TrustLarge Growth10.00%0.44%0.43%0.20%0.20%31.29$2,16314.06%
HQLTekla Life Sciences InvestorsHealth9.00%1.66%1.66%27.63$71513.46%
GBTCGrayscale Bitcoin Trust (BTC)Miscellaneous1.00%2.00%2.00%$1,2575.36%
100.00%0.39%1.07%0.33%0.33%22.5019.24$11,725100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldExpense RatioP/EContribution
SECTTMNetGrossReturnRisk
VTVanguard Total World Stock ETFWorld Large-Stock Blend40.00%1.82%0.08%0.08%19.15$5,30431.80%
VIRTVirtu Financial, Inc.Financial Services / Capital Markets20.00%3.26%$3,14438.44%
GLDSPDR Gold SharesCommodities Focused20.00%0.40%0.40%$1,5107.95%
QQQInvesco QQQ TrustLarge Growth10.00%0.44%0.43%0.20%0.20%31.29$2,2539.01%
HQLTekla Life Sciences InvestorsHealth9.00%1.66%1.66%27.63$7478.47%
GBTCGrayscale Bitcoin Trust (BTC)Miscellaneous1.00%2.00%2.00%$1,2564.32%
100.00%0.04%1.42%0.38%0.38%22.50$14,214100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 01/19/2022. (c) 2022 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Vanguard 500 Index Investor
Arithmetic Mean (monthly)1.12%1.29%1.42%
Arithmetic Mean (annualized)14.33%16.68%18.44%
Geometric Mean (monthly)1.08%1.24%1.33%
Geometric Mean (annualized)13.80%15.88%17.21%
Standard Deviation (monthly)2.82%3.45%4.22%
Standard Deviation (annualized)9.77%11.96%14.62%
Downside Deviation (monthly)1.42%1.66%2.60%
Max. Drawdown-9.29%-10.38%-19.63%
US Market Correlation0.820.651.00
Beta(*)0.550.531.00
Alpha (annualized)4.12%6.46%0.00%
R267.32%42.25%100.00%
Sharpe Ratio1.281.221.10
Sortino Ratio2.472.461.76
Treynor Ratio (%)22.8327.4316.10
Calmar Ratio2.622.751.32
Active Return-3.40%-1.33%N/A
Tracking Error8.65%11.38%N/A
Information Ratio-0.39-0.12N/A
Skewness0.070.27-0.57
Excess Kurtosis0.41-0.041.83
Historical Value-at-Risk (5%)-3.21%-3.99%-6.58%
Analytical Value-at-Risk (5%)-3.51%-4.43%-5.52%
Conditional Value-at-Risk (5%)-4.56%-4.75%-9.13%
Upside Capture Ratio (%)62.0561.80100.00
Downside Capture Ratio (%)45.7230.09100.00
Safe Withdrawal Rate22.78%23.21%24.19%
Perpetual Withdrawal Rate9.69%11.31%12.31%
Positive Periods47 out of 72 (65.28%)47 out of 72 (65.28%)55 out of 72 (76.39%)
Gain/Loss Ratio1.461.340.76
* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2Vanguard 500 Index Investor
COVID-19 StartJan 2020Mar 2020-7.78%-5.26%-19.63%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-9.29%
2Feb 2020Mar 20202 monthsApr 20201 month3 months-7.78%
3Aug 2016Nov 20164 monthsFeb 20173 months7 months-5.72%
4Sep 2020Oct 20202 monthsNov 20201 month3 months-4.69%
5Sep 2021Sep 20211 monthOct 20211 month2 months-3.99%
6Jan 2016Jan 20161 monthMar 20162 months3 months-3.24%
7Jan 2021Mar 20213 monthsApr 20211 month4 months-1.79%
8Sep 2017Sep 20171 monthNov 20172 months3 months-1.17%
9Nov 2021Nov 20211 monthDec 20211 month2 months-1.13%
10May 2019May 20191 monthJun 20191 month2 months-0.98%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2018Dec 20188 monthsJun 20196 months1 year 2 months-10.38%
2Sep 2020Oct 20202 monthsNov 20201 month3 months-7.60%
3Aug 2016Oct 20163 monthsJan 20173 months6 months-7.17%
4Feb 2020Mar 20202 monthsApr 20201 month3 months-5.26%
5Jul 2019Sep 20193 monthsDec 20193 months6 months-4.79%
6Jan 2016Jan 20161 monthMar 20162 months3 months-4.31%
7Sep 2017Oct 20172 monthsNov 20171 month3 months-4.25%
8Jun 2021Sep 20214 monthsNov 20212 months6 months-4.16%
9May 2016May 20161 monthJul 20162 months3 months-2.55%

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
3Sep 2020Oct 20202 monthsNov 20201 month3 months-6.38%
4May 2019May 20191 monthJun 20191 month2 months-6.36%
5Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
6Jan 2016Feb 20162 monthsMar 20161 month3 months-5.11%
7Sep 2021Sep 20211 monthOct 20211 month2 months-4.66%
8Oct 2016Oct 20161 monthNov 20161 month2 months-1.83%
9Aug 2019Aug 20191 monthSep 20191 month2 months-1.59%
10Jan 2021Jan 20211 monthFeb 20211 month2 months-1.02%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTVanguard Total World Stock ETF13.45%14.43%26.82%-9.76%-22.15%0.881.350.97
TLTiShares 20+ Year Treasury Bond ETF5.74%12.10%18.15%-4.60%-20.09%0.450.76-0.30
GLDSPDR Gold Shares9.09%14.17%24.81%-4.15%-15.02%0.621.110.03
QQQInvesco QQQ Trust24.53%16.74%48.40%-0.12%-16.96%1.342.490.90
HQLTekla Life Sciences Investors6.01%22.45%25.51%-19.53%-26.20%0.330.480.70
GBTCGrayscale Bitcoin Trust (BTC)91.60%145.60%1,557.21%-82.10%-82.10%0.902.810.15
VIRTVirtu Financial, Inc.8.95%38.47%64.23%-34.95%-52.13%0.370.67-0.10

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
3 MonthYear To Date1 year3 year5 yearNetGross
Vanguard Total World Stock ETF6.30%18.27%18.27%20.48%14.46%0.08%0.08%
iShares 20+ Year Treasury Bond ETF3.18%-4.60%-4.60%8.75%6.68%0.15%0.15%
SPDR Gold Shares4.10%-4.15%-4.15%12.13%9.30%0.40%0.40%
Invesco QQQ Trust11.29%27.42%27.42%37.99%28.34%0.20%0.20%
Tekla Life Sciences Investors-5.50%5.70%5.70%17.99%12.01%1.66%1.66%
Grayscale Bitcoin Trust (BTC)1.18%7.03%7.03%105.18%91.30%2.00%2.00%
Virtu Financial, Inc.19.02%18.60%18.60%8.21%17.55%
Trailing returns as of last calendar month ending December 2021

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTTLTGLDQQQHQLGBTCVIRTPortfolio 1Portfolio 2Vanguard 500 Index Investor
VTVanguard Total World Stock ETF1.00-0.300.080.870.690.17-0.120.840.660.97
TLTiShares 20+ Year Treasury Bond ETF-0.301.000.43-0.16-0.180.09-0.080.15-0.12-0.29
GLDSPDR Gold Shares0.080.431.000.05-0.110.110.070.460.340.05
QQQInvesco QQQ Trust0.87-0.160.051.000.680.16-0.070.820.650.90
HQLTekla Life Sciences Investors0.69-0.18-0.110.681.000.03-0.090.650.500.68
GBTCGrayscale Bitcoin Trust (BTC)0.170.090.110.160.031.000.150.360.360.15
VIRTVirtu Financial, Inc.-0.12-0.080.07-0.07-0.090.151.00-0.070.60-0.10

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VTVanguard Total World Stock ETF$5,095$5,304
TLTiShares 20+ Year Treasury Bond ETF$1,015
GLDSPDR Gold Shares$1,479$1,510
QQQInvesco QQQ Trust$2,163$2,253
HQLTekla Life Sciences Investors$715$747
GBTCGrayscale Bitcoin Trust (BTC)$1,257$1,256
VIRTVirtu Financial, Inc.$3,144
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the holdings.

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VTVanguard Total World Stock ETF49.82%31.80%
TLTiShares 20+ Year Treasury Bond ETF3.84%
GLDSPDR Gold Shares13.46%7.95%
QQQInvesco QQQ Trust14.06%9.01%
HQLTekla Life Sciences Investors13.46%8.47%
GBTCGrayscale Bitcoin Trust (BTC)5.36%4.32%
VIRTVirtu Financial, Inc.38.44%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the holdings.

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Vanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLow
1 year14.61%32.83%-6.44%18.43%50.02%-2.84%17.78%56.19%-7.11%
3 years12.98%20.40%7.57%15.47%20.88%10.93%14.22%25.91%4.96%
5 years14.46%15.44%13.24%17.98%19.52%16.14%17.10%18.77%15.07%